Robust improvement in estimation of a covariance matrix in an elliptically contoured distribution

DOI10.1214/AOS/1018031209zbMATH Open0942.62063OpenAlexW1570750275MaRDI QIDQ1970481FDOQ1970481

Authors: Tatsuya Kubokawa, Muni S. Srivastava 

Publication date: 7 June 2000

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1018031209

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zbMATH Keywords

covariance matrixmultivariate linear modelshrinkage estimationelliptically contoured distributionrobustness of improvement

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Statistical decision theory (62C99)

Cites Work

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• An orthogonally invariant minimax estimator of the covariance matrix of a multivariate normal population
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• An identity for the Wishart distribution with applications
• Inadmissibility of non-order-preserving orthogonally invariant estimators of the covariance matrix in the case of Stein's loss
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• Explicit bounds and heuristics on class numbers in hyperelliptic function fields
• Minimax estimators in the normal MANOVA model
• Reference prior bayes estimator for bivariate normal covariance matrix with risk comparison

Cited In (31)

• Invariance properties of the likelihood ratio for covariance matrix estimation in some complex elliptically contoured distributions
• Multivariate elliptically contoured autoregressive process
• The sample covariance is not efficient for elliptical distributions
• The Stein effect for Fréchet means
• Estimation of a high-dimensional covariance matrix with the Stein loss
• Tyler's Covariance Matrix Estimator in Elliptical Models With Convex Structure
• Improved estimation of a covariance matrix in an elliptically contoured matrix distribution
• Estimation of the precision matrix of a singular Wishart distribution and its application in high-dimensional data
• Estimation of a covariance matrix with location: Asymptotic formulas and optimal B-robust estimators
• Robust minimax Stein estimation under invariant data-based loss for spherically and elliptically symmetric distributions
• Covariance matrix estimation under data-based loss
• Robust empirical Bayes estimation of the elliptically countoured covariance matrix
• Robust improvement in estimation of a mean matrix in an elliptically contoured distribution
• An identity for multivariate elliptically contoured matrix distribution
• Alternative estimators of the common regression matrix in two GMANOVA models under weighted quadratic losses
• Robust improvement in estimation of a covariance matrix in an elliptically contoured distribution respect to quadratic loss function
• Estimation robuste pour des lois à symétrie elliptique à matrice de covariance inconnue
• Estimation of the inverse scatter matrix of an elliptically symmetric distribution
• An asymptotic expansion of Wishart distribution when the population eigenvalues are infinitely dispersed
• Intrinsic covariance matrix estimation for multivariate elliptical distributions
• Robust estimators for nondecomposable elliptical graphical models
• Estimation of variance and covariance components in elliptically contoured distributions
• Stein-Haff identity for the exponential family
• On completeness of the general linear model with spherically symmetric errors
• On improved loss estimation for shrinkage estimators
• Robust Estimation of Structured Covariance Matrix for Heavy-Tailed Elliptical Distributions
• On the non existence of unbiased estimators of risk for spherically symmetric distributions
• Improved robust performance bounds in covariance majorant analysis
• Improving on the sample covariance matrix for a complex elliptically contoured distribution
• Estimation of a scale parameter in mixture models with unknown location
• Scale matrix estimation of an elliptically symmetric distribution in high and low dimensions

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